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Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach
16 references·0 citing·43 second hop
Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach (2024)Decomposing risk spillover effect in inte…Measuring the G20 stock market return transmission mechanism: Evidence from the R 2 connectedness approach (2023)Measuring the G20 stock marke…Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises (2023)Exploring downside risk depen…Can green investment funds hedge climate risk? (2023)Can green investment funds he…Are sustainable investments interdependent? The international evidence (2022)Are sustainable investments i…Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis (2021)Multiscale financial risk con…Asymmetric volatility spillover among Chinese sectors during COVID-19 (2021)Asymmetric volatility spillov…Risk spillovers between oil and stock markets: A VAR for VaR analysis (2019)Risk spillovers between oil a…Quantile coherency networks of international stock markets (2019)Quantile coherency networks o…Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis (2019)Measuring extreme risk spillo…Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach (2017)Downside and upside risk spil…Downside and upside risk spillovers between exchange rates and stock prices (2015)Downside and upside risk spil…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…A Shapley-based decomposition of the R-Square of a linear regression (2006)A Shapley-based decomposition…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…An Introduction to Copulas (1999)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS (2018)Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach (2018)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Decomposable Income Inequality Measures (1979)Inequality Decomposition by Factor Components (1982)Decomposition procedures for distributional analysis: a unified framework based on the Shapley value (2012)A regional unemployment model simultaneously accounting for serial dynamics, spatial dependence and common factors (2016)Minding the happiness gap: Political institutions and perceived quality of life in transition (2016)What are the roles of green technology innovation and ICT employment in lowering carbon intensity in China? A city-level analysis of the spatial effects (2022)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives (2020)Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects (2020)Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach (2021)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis (2022)How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets? (2022)Quantile connectedness between energy, metal, and carbon markets (2022)Efficient Tests for an Autoregressive Unit Root (1996)CAViaR (2004)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)On the prediction of systemic risk tolerance of cryptocurrencies (2023)Navigating environmental concerns and geopolitical risks: A study on green sukuk and Islamic equities amid climate crisis and the Russia-Ukraine conflict (2024)Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers (2024)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Correlation of International Equity Markets (2001)Quantifying the asymmetric spillovers in sustainable investments (2021)Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis (2021)Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis (2022)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2006A Shapley-based decomposition of the R-Square of a linear regression249 cited
  • 2015Downside and upside risk spillovers between exchange rates and stock prices238 cited
  • 2021Asymmetric volatility spillover among Chinese sectors during COVID-19209 cited
  • 2019Risk spillovers between oil and stock markets: A VAR for VaR analysis133 cited
  • 2019Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis130 cited
  • 2023Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises107 cited
  • 2023Can green investment funds hedge climate risk?72 cited
  • 2021Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis69 cited
  • 2019Quantile coherency networks of international stock markets64 cited
  • 2022Are sustainable investments interdependent? The international evidence

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62 cited
  • 2023Measuring the G20 stock market return transmission mechanism: Evidence from the R 2 connectedness approach60 cited
  • 2017Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach42 cited
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